UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-22707

 

Cohen & Steers Limited Duration Preferred and Income Fund, Inc.

(Exact name of registrant as specified in charter)

 

280 Park Avenue

New York, NY

 

10017

(Address of principal executive offices)

 

(Zip code)

 

Tina M. Payne

280 Park Avenue

New York, NY 10017

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(212) 832-3232

 

 

Date of fiscal year end:

December 31

 

 

Date of reporting period:

September 30, 2014

 

 



 

Item 1. Schedule of Investments

 



 

COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.

 

SCHEDULE OF INVESTMENTS

September 30, 2014 (Unaudited)

 

 

 

Number
of Shares

 

Value

 

PREFERRED SECURITIES—$25 PAR VALUE 41.3%

 

 

 

 

 

BANKS 15.5%

 

 

 

 

 

AgriBank FCB, 6.875%, ($100 Par Value)(a)

 

65,000

 

$

6,946,875

 

Ally Financial, 8.50%, Series A(a)

 

195,800

 

5,272,894

 

Citigroup, 6.875%, Series K(a)

 

222,375

 

5,857,358

 

CoBank ACB, 6.25%, 144A ($100 Par Value)(b)

 

117,000

 

12,350,812

 

CoBank ACB, 6.125%, Series G ($100 Par Value)

 

32,250

 

2,914,594

 

Farm Credit Bank of Texas, 6.75%, 144A(b)

 

67,500

 

7,095,937

 

Fifth Third Bancorp, 6.625%, Series I(a)

 

317,734

 

8,404,064

 

First Niagara Financial Group, 8.625%, Series B

 

34,612

 

979,520

 

GMAC Capital Trust I, 8.125%, due 2/15/40, Series II (TruPS)(a)

 

200,000

 

5,322,000

 

HSBC USA, 3.50%, Series F (FRN)(a)

 

645,792

 

14,149,303

 

HSBC USA, 4.918%, Series G (FRN)(a)

 

230,771

 

5,300,810

 

PrivateBancorp, 7.125%, due 10/30/42(a)

 

200,100

 

5,152,575

 

Regions Financial Corp., 6.375%, Series B(a)

 

301,000

 

7,639,380

 

US Bancorp, 3.50%, Series A, ($1,000 Par Value)(FRN)(a)

 

26,776

 

22,149,643

 

Zions Bancorp, 7.90%, Series F(a)

 

174,694

 

4,891,432

 

Zions Bancorp, 6.30%, Series G

 

126,557

 

3,206,954

 

 

 

 

 

117,634,151

 

BANKS—FOREIGN 0.2%

 

 

 

 

 

Barclays Bank PLC, 8.125%, Series V (United Kingdom)

 

50,000

 

1,298,500

 

 

 

 

 

 

 

ELECTRIC—INTEGRATED 5.5%

 

 

 

 

 

Southern California Edison Co., 4.63%, Series D ($100 Par Value)(FRN)(a)

 

408,851

 

42,086,100

 

 

 

 

 

 

 

FINANCE—INVESTMENT BANKER/BROKER 4.3%

 

 

 

 

 

Goldman Sachs Group, 6.375%, Series K

 

111,782

 

2,831,438

 

Morgan Stanley, 6.875%(a)

 

603,012

 

15,756,703

 

Morgan Stanley, 4.00%, Series A (FRN)(a)

 

692,675

 

13,777,306

 

 

 

 

 

32,365,447

 

INDUSTRIALS—CHEMICALS 2.6%

 

 

 

 

 

CHS, 6.75%(a)

 

348,000

 

8,870,520

 

CHS, 7.10%, Series II(a)

 

410,000

 

10,906,000

 

 

 

 

 

19,776,520

 

INSURANCE 6.3%

 

 

 

 

 

LIFE/HEALTH INSURANCE 3.0%

 

 

 

 

 

MetLife, 4.00%, Series A (FRN)(a)

 

326,431

 

7,808,230

 

 

1



 

 

 

Number
of Shares

 

Value

 

Principal Financial Group, 5.563%, Series A ($100 Par Value)(a)

 

142,513

 

$

14,620,950

 

 

 

 

 

22,429,180

 

LIFE/HEALTH INSURANCE—FOREIGN 0.4%

 

 

 

 

 

Aegon NV, 4.00%, Series I (FRN) (Netherlands)(c)

 

120,007

 

2,838,165

 

 

 

 

 

 

 

MULTI-LINE 0.9%

 

 

 

 

 

Hartford Financial Services Group, 7.875%, due 4/15/42(a)

 

240,000

 

7,101,600

 

 

 

 

 

 

 

REINSURANCE 1.0%

 

 

 

 

 

Reinsurance Group of America, 6.20%, due 9/15/42(a)

 

287,951

 

7,921,532

 

 

 

 

 

 

 

REINSURANCE—FOREIGN 1.0%

 

 

 

 

 

Aspen Insurance Holdings Ltd., 5.95% (Bermuda)(a)

 

120,023

 

2,996,974

 

Aspen Insurance Holdings Ltd., 7.25% (Bermuda)

 

97,849

 

2,552,881

 

Endurance Specialty Holdings Ltd., 7.50%, Series B (Bermuda)

 

62,492

 

1,616,668

 

 

 

 

 

7,166,523

 

TOTAL INSURANCE

 

 

 

47,457,000

 

 

 

 

 

 

 

PIPELINES 0.5%

 

 

 

 

 

NuStar Logistics LP, 7.625%, due 1/15/43

 

159,500

 

4,153,380

 

 

 

 

 

 

 

REAL ESTATE 4.9%

 

 

 

 

 

DIVERSIFIED 2.2%

 

 

 

 

 

Colony Financial, 8.50%, Series A(a)

 

240,000

 

6,465,600

 

NorthStar Realty Finance Corp., 8.50%, Series D

 

99,400

 

2,484,006

 

Retail Properties of America, 7.00%

 

99,400

 

2,592,352

 

Urstadt Biddle Properties, 7.125%, Series F(a)

 

193,484

 

5,034,454

 

 

 

 

 

16,576,412

 

HOTEL 1.0%

 

 

 

 

 

Summit Hotel Properties, 7.125%

 

115,500

 

3,005,310

 

Summit Hotel Properties, 7.875, Series B

 

186,650

 

5,020,885

 

 

 

 

 

8,026,195

 

OFFICE 1.3%

 

 

 

 

 

American Realty Capital Properties, 6.70%, Series F(a)

 

327,627

 

7,574,736

 

Corporate Office Properties Trust, 7.375%, Series L

 

90,866

 

2,345,252

 

 

 

 

 

9,919,988

 

RESIDENTIAL—MANUFACTURED HOME 0.4%

 

 

 

 

 

Sun Communities, 7.125%, Series A(a)

 

100,000

 

2,582,000

 

Campus Crest Communities, 8.00%, Series A

 

17,300

 

433,365

 

 

2



 

 

 

Number
of Shares

 

Value

 

 

 

 

 

$

 3,015,365

 

TOTAL REAL ESTATE

 

 

 

37,537,960

 

 

 

 

 

 

 

TRANSPORT—MARINE—FOREIGN 1.0%

 

 

 

 

 

Seaspan Corp., 6.375%, due 4/30/19 (Hong Kong)

 

162,450

 

4,157,095

 

Seaspan Corp., 9.50%, Series C (Hong Kong)

 

140,705

 

3,761,045

 

 

 

 

 

7,918,140

 

UTILITIES 0.5%

 

 

 

 

 

SCE Trust III, 5.75%

 

135,150

 

3,570,663

 

TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$304,830,770)

 

 

 

313,797,861

 

 

 

 

 

 

 

PREFERRED SECURITIES—CAPITAL SECURITIES 94.1%

 

 

 

 

 

BANKS 23.7%

 

 

 

 

 

BAC Capital Trust XIV, 4.00%, Series G, (FRN)

 

18,930,000

 

15,285,975

 

Bank of America Corp., 8.125%, Series M

 

13,500,000

 

14,682,505

 

Bank of America Corp., 6.25%, Series X

 

9,115,000

 

9,100,753

 

Goldman Sachs Capital II, 4.00%, (FRN)(a)

 

27,567,000

 

21,102,538

 

Goldman Sachs Capital III, 4.00%, Series F (FRN)(a)

 

7,659,000

 

6,050,610

 

JPMorgan Chase & Co., 7.90%, Series I(a)

 

26,000,000

 

28,275,000

 

JPMorgan Chase & Co., 6.75%, Series S(a)

 

10,400,000

 

10,977,200

 

JPMorgan Chase & Co., 6.10%, Series X

 

5,900,000

 

5,858,659

 

Mellon Capital IV, 4.00%, Series 1 (FRN)(a)

 

18,115,000

 

15,261,887

 

USB Capital IX, 3.50%, (FRN)(a)

 

16,878,000

 

14,430,690

 

Wells Fargo & Co, 5.90%, Series S(a)

 

5,946,000

 

6,072,353

 

Wells Fargo & Co., 7.98%, Series K(a)

 

20,700,000

 

22,755,510

 

Zions Bancorp, 7.20%, Series J

 

5,490,000

 

5,819,400

 

Zions Bancorporation, 5.65%, due 11/15/23

 

4,250,000

 

4,614,931

 

 

 

 

 

180,288,011

 

BANKS—FOREIGN 31.6%

 

 

 

 

 

Baggot Securities Ltd., 10.24%, 144A (EUR) (Ireland)(b)

 

4,661,000

 

6,255,021

 

Banco Bilbao Vizcaya Argentaria SA, 7.00% (Spain)

 

3,200,000

 

4,264,333

 

Banco Bilbao Vizcaya Argentaria SA, 9.00% (Spain)

 

8,400,000

 

8,946,000

 

Banco do Brasil SA/Cayman, 9.00%, 144A (Brazil)(b)

 

10,870,000

 

10,599,337

 

Banco Santander SA, 6.25% (Spain)

 

2,600,000

 

3,136,154

 

Barclays Bank PLC, 7.625%, due 11/21/22 (United Kingdom)(a)

 

4,800,000

 

5,167,200

 

Barclays Bank PLC, 7.75%, due 4/10/23 (United Kingdom)(a)

 

2,400,000

 

2,601,000

 

Barclays PLC, 8.00% (United Kingdom) (EUR)

 

3,200,000

 

4,223,641

 

Barclays PLC, 8.25% (United Kingdom)(a)

 

9,295,000

 

9,557,584

 

 

3



 

 

 

Number
of Shares

 

Value

 

BBVA Bancomer SA Texas, 6.75%, due 9/30/22, 144A (Mexico)(b)

 

5,000,000

 

$

5,612,500

 

BNP Paribas, 7.195%, 144A (France)(b)

 

5,000,000

 

5,825,000

 

Commerzbank AG, 8.125%, due 9/19/23, 144A (Germany)(a),(b)

 

6,800,000

 

7,876,297

 

Coventry Building Society, 6.375% (United Kingdom)

 

2,100,000

 

3,255,472

 

Credit Agricole SA, 6.625%, 144A (France)(b)

 

4,800,000

 

4,585,325

 

Credit Agricole SA, 7.875%, 144A (France)(a),(b)

 

5,061,000

 

5,127,426

 

Credit Agricole SA, 8.125%, due 9/19/33, 144A (France)(a),(b)

 

6,800,000

 

7,571,970

 

Credit Suisse AG, 6.50%, due 8/8/23, 144A (Switzerland)(a),(b)

 

4,500,000

 

4,905,225

 

Credit Suisse Group AG, 7.50%, 144A (Switzerland)(a),(b)

 

7,463,000

 

7,854,807

 

Deutsche Bank Capital Funding Trust I, 3.204%, 144A (FRN) (Germany)(a),(b)

 

8,480,000

 

8,352,800

 

Deutsche Bank Capital Trust IV (Germany)

 

6,000,000

 

5,880,000

 

Deutsche Bank Capital Trust V, 144A, (Germany)(b)

 

2,800,000

 

2,772,000

 

Dresdner Funding Trust I, 8.151%, due 6/30/31, 144A (Germany)(b)

 

2,000,000

 

2,370,000

 

HBOS Capital Funding LP, 6.85% (United Kingdom)(a)

 

6,350,000

 

6,398,419

 

HSBC Capital Funding LP, 10.176%, 144A (United Kingdom)(a),(b)

 

5,395,000

 

8,146,450

 

HSBC Holdings PLC, 6.375% (United Kingdom)

 

3,400,000

 

3,400,000

 

Itau Unibanco Holding SA/Cayman Island, 5.50%, due 8/6/22, 144A (Brazil)(b)

 

4,600,000

 

4,565,500

 

Lloyds Banking Group PLC, 7.50% (United Kingdom)(a)

 

10,250,000

 

10,583,125

 

Lloyds TSB Bank PLC, 11.875%, due 12/16/21, (FRN) (United Kingdom) (EUR)(a)

 

3,000,000

 

4,640,574

 

Nationwide Building Society, 6.875%, Series EMTN (United Kingdom)

 

2,800,000

 

4,382,617

 

Nationwide Building Society, 10.25%, (United Kingdom)(c)

 

6,380,000

 

12,928,673

 

Nordea Bank AB, 6.125%, 144A (Sweden)(b)

 

4,200,000

 

4,131,800

 

Rabobank Nederland, 8.40% (Netherlands)

 

9,500,000

 

10,485,625

 

Rabobank Nederland, 11.00%, 144A (Netherlands)(a),(b)

 

4,000,000

 

5,300,000

 

Royal Bank of Scotland Group PLC, 7.648% (United Kingdom)(a)

 

8,427,000

 

9,901,725

 

Royal Bank of Scotland PLC, 9.50%, due 3/16/22 (United Kingdom)(a)

 

5,000,000

 

5,710,675

 

Societe Generale SA, 7.875%, 144A (France)(b)

 

5,600,000

 

5,601,400

 

Societe Generale SA, 8.875% (France) (GBP)

 

1,750,000

 

3,206,446

 

UBS AG, 7.625%, due 8/17/22 (Switzerland)(a)

 

11,700,000

 

13,613,160

 

 

 

 

 

239,735,281

 

 

4



 

 

 

Number
of Shares

 

Value

 

ELECTRIC—INTEGRATED—FOREIGN 0.6%

 

 

 

 

 

RWE AG, 7.00%, due 10/12/72 (Germany)(a)

 

4,160,000

 

$

4,523,684

 

 

 

 

 

 

 

FINANCE 6.5%

 

 

 

 

 

DIVERSIFIED FINANCIAL SERVICES 5.8%

 

 

 

 

 

General Electric Capital Corp., 7.125%, Series A(a)

 

38,000,000

 

44,051,614

 

INVESTMENT BANKER/BROKER 0.7%

 

 

 

 

 

Goldman Sachs Group, 5.70%, Series L(a)

 

4,850,000

 

4,944,168

 

TOTAL FINANCE

 

 

 

48,995,782

 

 

 

 

 

 

 

INSURANCE 24.6%

 

 

 

 

 

LIFE/HEALTH INSURANCE—FOREIGN 7.7%

 

 

 

 

 

Aegon NV, 2.722%, ($100 Par Value) (FRN) (Netherlands)

 

20,985,000

 

19,201,275

 

CNP Assurances, 3.4212%, (FRN) (France)(c)

 

5,000,000

 

5,336,388

 

Groupama SA, 6.375% (France)

 

6,500,000

 

8,271,402

 

La Mondiale Vie, 7.625% (France)

 

13,250,000

 

14,575,000

 

Sumitomo Life Insurance Co, 6.50%, due 9/20/73, 144A (Japan)(a),(b)

 

9,800,000

 

11,223,224

 

 

 

 

 

58,607,289

 

MULTI-LINE 1.7%

 

 

 

 

 

American International Group, 8.175%, due 5/15/68, (FRN)(a)

 

7,000,000

 

9,467,500

 

Nationwide Mutual Insurance Co., 5.81%, due 12/15/24, 144A(a),(b)

 

3,125,000

 

3,152,344

 

 

 

 

 

12,619,844

 

MULTI-LINE—FOREIGN 3.7%

 

 

 

 

 

Aviva PLC, 8.25% (United Kingdom)(a)

 

8,600,000

 

9,662,453

 

AXA SA, 1.794%, (FRN) (EUR) (France)

 

5,000,000

 

4,752,227

 

AXA SA, 6.463%, 144A (France)(a),(b)

 

10,102,000

 

10,667,712

 

ING Capital Funding Trust III, 3.83%, (FRN) (Netherlands)(a)

 

3,329,000

 

3,345,645

 

 

 

 

 

28,428,037

 

PROPERTY CASUALTY 2.5%

 

 

 

 

 

Liberty Mutual Group, 7.00%, due 3/15/37, 144A(a),(b)

 

17,575,000

 

18,717,375

 

 

 

 

 

 

 

PROPERTY CASUALTY—FOREIGN 2.3%

 

 

 

 

 

Mitsui Sumitomo Insurance Co., Ltd., 7.00%, due 3/15/72, 144A (Japan)(a),(b)

 

9,000,000

 

10,440,000

 

 

5



 

 

 

Number
of Shares

 

Value

 

RL Finance Bonds No. 2 PLC, 6.125%, due 11/30/43 (United Kingdom)

 

4,000,000

 

$

6,801,218

 

 

 

 

 

17,241,218

 

REINSURANCE—FOREIGN 6.7%

 

 

 

 

 

Aquarius + Investments PLC, 8.25% (Switzerland)

 

17,000,000

 

18,789,250

 

Catlin Insurance Co., 7.249%, 144A (Bermuda)(b),(d)

 

18,600,000

 

19,251,000

 

QBE Capital Funding III Ltd., 7.25%, due 5/24/41, 144A (Australia)(a),(b)

 

12,000,000

 

13,097,352

 

 

 

 

 

51,137,602

 

TOTAL INSURANCE

 

 

 

186,751,365

 

 

 

 

 

 

 

INTEGRATED TELECOMMUNICATIONS SERVICES 0.8%

 

 

 

 

 

Centaur Funding Corp., 9.08%, due 4/21/20, 144A (Cayman)(b)

 

4,622

 

5,803,499

 

PIPELINES 2.2%

 

 

 

 

 

Enbridge Energy Partners LP, 8.05%, due 10/1/77(a)

 

3,100,000

 

3,503,000

 

Enterprise Products Operating LLC, 7.034%, due 1/15/68, Series B(a)

 

12,000,000

 

13,570,068

 

 

 

 

 

17,073,068

 

UTILITIES 4.1%

 

 

 

 

 

ELECTRIC UTILITIES 0.7%

 

 

 

 

 

FPL Group Capital, 7.30%, due 9/1/67, Series D(a)

 

5,000,000

 

5,476,110

 

ELECTRIC UTILITIES—FOREIGN 1.6%

 

 

 

 

 

Enel SpA, 8.75%, due 9/24/73, 144A (Italy)(b)

 

10,232,000

 

11,908,002

 

MULTI-UTILITIES 1.8%

 

 

 

 

 

Dominion Resources, 5.75%, due 10/1/54

 

8,873,000

 

8,996,610

 

Dominion Resources, 2.534%, due 9/30/66, (FRN)(a)

 

5,400,000

 

5,026,341

 

 

 

 

 

14,022,951

 

TOTAL UTILITIES

 

 

 

31,407,063

 

TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$668,211,605)

 

 

 

714,577,753

 

 

6



 

 

 

Principal
Amount

 

Value

 

CORPORATE BONDS 2.5%

 

 

 

 

 

INSURANCE-PROPERTY CASUALTY 0.8%

 

 

 

 

 

Liberty Mutual Insurance, 7.697%, due 10/15/97, 144A(a),(b)

 

$

5,000,000

 

$

5,944,005

 

INTEGRATED TELECOMMUNICATIONS SERVICES 1.7%

 

 

 

 

 

Frontier Communications Corp., 9.00%, due 8/15/31(a)

 

12,500,000

 

13,031,250

 

TOTAL CORPORATE BONDS (Identified cost—$18,070,124)

 

 

 

18,975,255

 

 

 

 

 

 

Number
of Shares

 

 

 

SHORT-TERM INVESTMENTS 1.1%

 

 

 

 

 

 

 

MONEY MARKET FUNDS

 

 

 

 

 

 

 

State Street Institutional Treasury Money Market Fund, 0.00%d(e)

 

 

 

8,300,000

 

8,300,000

 

TOTAL SHORT-TERM INVESTMENTS (Identified cost—$8,300,000)

 

 

 

 

 

8,300,000

 

TOTAL INVESTMENTS (Identified cost—$999,412,499)

 

139.0

%

 

 

1,055,650,869

 

LIABILITIES IN EXCESS OF OTHER ASSETS

 

(39.0

)

 

 

(295,966,481

)

NET ASSETS (Equivalent to $26.35 per share based on 28,830,580 shares of common stock outstanding)

 

100.0

%

 

 

$

759,684,388

 

 


Note: Percentages indicated are based on the net assets of the Fund.

(a)

All or a portion of the security is pledged as collateral in connection with the Fund’s revolving credit agreement. $546,006,720 in aggregate has been pledged as collateral.

(b) 

Resale is restricted to qualified institutional investors. Aggregate holdings equal 31.2% of the net assets of the Fund, of which 0.0% are illiquid.

(c) 

Fair valued security. This security has been valued at its fair value as determined in good faith under procedures established by and under the general supervision of the Fund’s Board of Directors. Aggregate fair valued securities represent 2.8% of the net assets of the Fund.

(d)

A portion of the security is segregated as collateral for open forward foreign currency exchange contracts. $1,863,000 in aggregate has been segregated as collateral.

(e)

Rate quoted represents the annualized seven-day yield of the Fund.

 

7



 

Interest rate swaps outstanding at September 30, 2014 were as follows:

 

Counterparty

 

Notional
Amount

 

Fixed
Rate
Payable

 

Floating
Rate(resets
monthly)
Receivable(a)

 

Termination Date

 

Unrealized
Appreciation

 

Bank of America, N.A.

 

$

94,500,000

 

0.913

%

0.157

%

December 1, 2017

 

$

912,907

 

Bank of America, N.A.

 

94,500,000

 

1.163

%

0.157

%

December 1, 2018

 

1,545,832

 

BNP Paribas

 

94,500,000

 

1.395

%

0.157

%

December 1, 2019

 

1,956,029

 

 

 

 

 

 

 

 

 

 

 

$

 4,414,768

 

 

a Based on LIBOR (London Interbank Offered Rate). Represents rates in effect at September 30, 2014.

 

Forward foreign currency exchange contracts outstanding at September 30, 2014 were as follows:

Counterparty

 

Contracts to
Deliver

 

In Exchange
For

 

Settlement
Date

 

Unrealized
Appreciation/
(Depreciation)

 

Brown Brothers Harriman

 

EUR

3,384,309

 

USD

4,445,967

 

10/2/14

 

$

171,414

 

Brown Brothers Harriman

 

EUR

30,531,885

 

USD

40,226,919

 

10/2/14

 

1,663,607

 

Brown Brothers Harriman

 

GBP

20,292,818

 

USD

33,683,318

 

10/2/14

 

785,613

 

Brown Brothers Harriman

 

USD

42,853,111

 

EUR

33,916,194

 

10/2/14

 

(15,247

)

Brown Brothers Harriman

 

USD

32,904,196

 

GBP

20,292,818

 

10/2/14

 

(6,490

)

Brown Brothers Harriman

 

EUR

32,290,285

 

USD

40,803,005

 

11/4/14

 

10,038

 

Brown Brothers Harriman

 

GBP

19,478,006

 

USD

31,570,809

 

11/4/14

 

3,077

 

 

 

 

 

 

 

 

 

$

 2,612,012

 

 

Glossary of Portfolio Abbreviations

 

 

EUR

Euro Currency

 

FRN

Floating Rate Note

 

GBP

Great British Pound

 

TruPS

Trust Preferred Securities

 

USD

United States Dollar

 

8



 

Cohen & Steers Limited Duration Preferred and Income Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

Note 1. Portfolio Valuation

 

Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. Forward contracts are valued daily at the prevailing forward exchange rate.

 

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.

 

Readily marketable securities traded in the over-the-counter market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment advisor) to be over-the-counter, are valued at the last sale price on the valuation date as reported by sources deemed appropriate by the Board of Directors to reflect their fair market value. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. However, certain fixed-income securities may be valued on the basis of prices provided by a pricing service when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair market value of such securities. Interest rate swaps are valued utilizing quotes received from an outside pricing service.

 

Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at their closing net asset value.

 

The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment advisor, subject to the oversight of the Board of Directors. The investment advisor has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

 



 

Cohen & Steers Limited Duration Preferred and Income Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

Securities for which market prices are unavailable, or securities for which the investment advisor determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

 

Foreign equity fair value pricing procedures utilized by the Fund may cause certain non-U.S. equity holdings to be fair valued on the basis of fair value factors provided by a pricing service to reflect any significant market movements between the time the Fund values such securities and the earlier closing of foreign markets.

 

The Fund’s use of fair value pricing may cause the net asset value of Fund shares to differ from the net asset value that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.

 

Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability.  The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.

 

·                  Level 1 – quoted prices in active markets for identical investments

·                  Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, etc.)

·                  Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

For movements between the levels within the fair value hierarchy, the Fund has adopted a policy of recognizing the transfer at the end of the period in which the underlying event causing the movement occurred. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. There were no transfers between Level 1 and Level 2 securities as of September 30, 2014.

 



 

Cohen & Steers Limited Duration Preferred and Income Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

The following is a summary of the inputs used as of September 30, 2014 in valuing the Fund’s investments carried at value:

 

 

 

Total

 

Quoted Prices
In Active
Markets for
Identical
Investments
(Level 1)

 

Other
Significant
Observable
Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)(a)

 

Preferred Securities - $25 Par Value - Banks

 

$

117,634,151

 

$

88,325,933

 

$

22,212,281

 

$

7,095,937

(b)

Preferred Securities - $25 Par Value - Electric - Integrated

 

42,086,100

 

 

42,086,100

 

 

Preferred Securities - $25 Par Value - Insurance - Life/Health Insurance

 

22,429,180

 

7,808,230

 

14,620,950

 

 

Preferred Securities - $25 Par Value - Other Industries

 

131,648,430

 

131,648,430

 

 

 

Preferred Securities - Capital Securities

 

714,577,753

 

 

714,577,753

 

 

Corporate Bonds

 

18,975,255

 

 

18,975,255

 

 

Money Market Funds

 

8,300,000

 

 

8,300,000

 

 

Total Investments(c)

 

$

1,055,650,869

 

227,782,593

 

$

820,772,339

 

$

7,095,937

 

Interest rate swaps

 

$

4,414,768

 

$

 

$

4,414,768

 

$

 

Forward foreign currency exchange contracts

 

2,633,749

 

 

2,633,749

 

 

Total Appreciation in Other Financial Instruments(c)

 

$

7,048,517

 

$

 

$

7,048,517

 

$

 

Forward foreign currency exchange contracts

 

$

(21,737

)

$

 

$

(21,737

)

$

 

Total Depreciation in Other Financial Instruments(c)

 

$

(21,737

)

$

 

$

(21,737

)

$

 

 


(a) Certain of the Fund’s investments are categorized as Level 3 and were valued utilizing third party pricing information without adjustment. Such valuations are based on significant unobservable inputs. A change in the significant unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

(b) Valued by a pricing service which  utilized independent broker quotes.

(c) Portfolio holdings are disclosed individually on the Schedule of Investments.

 

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:

 



 

Cohen & Steers Limited Duration Preferred and Income Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

 

 

Total
Investments
in Securities

 

Preferred
Securities
- $25 Par
Value -
Banks

 

Preferred
Securities -
Capital
Securities -
Banks -
Foreign

 

Preferred
Securities -
Capital
Securities -
Insurance -
Life/Health
Insurance -
Foreign

 

Balance as of December 31, 2013

 

$

21,753,317

 

$

5,983,469

 

$

10,645,368

 

$

5,124,480

 

Purchases

 

5,099,674

 

815,000

 

4,284,674

 

 

Accretion

 

17,093

 

 

1,837

 

15,256

 

Change in unrealized appreciation (depreciation)

 

1,262,914

 

297,468

 

768,794

 

196,652

 

Transfers out of Level 3(a)

 

(21,037,061

)

 

(15,700,673

)

(5,336,388

)

Balance as of September 30, 2014

 

$

7,095,937

 

$

7,095,937

 

$

 

$

 

 


(a) As of December 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of September 30, 2014, the Fund used significant observable inputs in determining the value of the same investments.

 

The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2014 which were valued using significant unobservable inputs (Level 3) amounted to $297,468.

 

Note 2.   Derivative Instruments

 

The following is a summary of the Fund’s derivative instruments as of September 30, 2014:

 

Interest rate swaps

 

$

4,414,768

 

Forward foreign currency exchange contracts

 

2,612,012

 

 

 

$

7,026,780

 

 

The following summarizes the volume of the Fund’s interest rate swap and forward foreign currency exchange contracts activity during the nine months ended September 30, 2014:

 

 

 

Interest rate swap
contracts

 

Forward foreign
currency exchange
contracts

 

Average Notional Balance

 

$

283,500,000

 

$

70,866,038

 

Ending Notional Balance

 

283,500,000

 

72,373,814

 

 

Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge the currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between

 



 

Cohen & Steers Limited Duration Preferred and Income Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

two parties to purchase or sell foreign currency at a set price on a future date. The market value of a foreign forward currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as unrealized appreciation and/or depreciation on foreign currency translations. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are included in net realized gain or loss on foreign currency transactions. For federal income tax purposes, the Fund has made an election to treat gains and losses from forward foreign currency exchange contracts as capital gains and losses.

 

Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.

 

Interest Rate Swaps: The Fund uses interest rate swaps in connection with borrowing under its credit agreement. The interest rate swaps are intended to reduce interest rate risk by countering the effect that an increase in short-term interest rates could have on the performance of the Fund’s common shares as a result of the floating rate structure of interest owed pursuant to the credit agreement. In these interest rate swaps, the Fund agrees to pay the other party to the interest rate swap (which is known as the counterparty) a fixed rate payment in exchange for the counterparty’s agreement to pay the Fund a variable rate payment that is intended to approximate the Fund’s variable rate payment, obligation on the credit agreement. The payment obligation is based on the notional amount of the swap. Depending on the state of interest rates in general, the use of interest rate swaps could enhance or harm the overall performance of the common shares. The market value of interest rate swaps is based on pricing models that consider the time value of money, volatility, the current market and contractual prices of the underlying financial instrument. Unrealized appreciation is reported as an asset and unrealized depreciation is reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including the accrual of periodic amounts of interest to be paid or received on swaps, is reported as unrealized appreciation or depreciation in the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of a swap agreement. Swap agreements involve, to varying degrees, elements of market and counterparty risk, and exposure to loss in excess of the related amounts reflected on the Statement of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that such amount is positive.

 

The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) required the Securities and Exchange Commission and Commodity Futures Trading Commission to mandate by regulation that certain derivatives, previously traded over-the-counter, including interest rate swaps, be executed in a regulated, transparent market and settled by means of a central clearing house. The extent and impact of the new regulations are not yet fully

 



 

Cohen & Steers Limited Duration Preferred and Income Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

known and may not be for some time. Any such changes may, among various possible effects, increase the cost of entering into derivatives transactions, require more assets of the Fund to be used for collateral in support of those derivatives than is currently the case, or could limit the Fund’s ability to pursue its investment strategies. For each swap counterparty, the Fund entered into a Cleared Derivatives Execution Agreement and related annexes thereto (Clearing Agreement) with Morgan Stanley & Co. LLC which sets forth the general terms and conditions of the Fund’s swap transactions.

 

Note 3.   Income Tax Information

 

As of September 30, 2014, the federal tax cost and net unrealized appreciation and depreciation in value of securities held were as follows:

 



 

Cost for federal income tax purposes

 

$

999,412,499

 

Gross unrealized appreciation

 

$

62,471,915

 

Gross unrealized depreciation

 

(6,233,545

)

Net unrealized appreciation

 

$

56,238,370

 

 



 

Item 2. Controls and Procedures

 

(a)                                 The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act as of a date within 90 days of the filing of this report.

 

(b)                                 During the last fiscal quarter, there were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

(a)                                 Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940.

 



 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.

 

 

By:

/s/ Adam M. Derechin

 

 

Name: Adam M. Derechin

 

 

Title: President

 

 

Date: November 25, 2014

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By:

/s/ Adam M. Derechin

 

By:

/s/ James Giallanza

 

Name: Adam M. Derechin

 

 

Name: James Giallanza

 

Title: President and Principal Executive Officer

 

 

Title: Treasurer and Principal Financial Officer

 

Date: November 25, 2014